Backtest this strategy

S

Sashe

Found this strategy on Wealth Lab site, but dont have enough ES data to backtest it.
Settings:
3 min chart
SMA 150
RSI(5)
Rules:
For longs Entry: Price above SMA 150 and RSI(5) closes <30--->go long
For longs Exit: RSI(5) closes >70 or 2 stop loss

For shorts Entry: Price below 150 and RSI(5) closes >70---->go short
For shorts Exit: RSI(5) closes <30 or 2 stop loss

Please, backtest this as far as possible.
Thx in advance
 
If this is your holy grail, you need to look more ...


inputs: Price( Close ), RSILength( 5 ),SMALength(150), OverSold( 30 ), OverBought( 70 ) ;
variables: MyRSI( 0 ) ;
variables: Counter( 0 ) ;


MyRSI = RSI( Close, RSILength ) ;


if Currentbar > 1 and MyRSI crosses under OverSold
and Price > AverageFC( Price, SMALength ) then

Buy ( "Buy" ) next bar at market ;

If MyRSI crosses over OverBought Then
Sell ("Sell") next bar at Market;



if Currentbar > 1 and MyRSI crosses over OverBought
and Price < AverageFC(Price, SMALength) then

Sell Short ( "Short" ) next bar at market ;

If MyRSI crosses below Oversold Then
Buy cover ("Cover") next bar at Market;



This is quickly written code, ask the experts regarding correctness of the code. Did not include stop limit in the code itself, but there is in-house tradestation _stop strategy is used for $100 stop.

$2.5 Comsn and $12.5 slippage is assumed
 

Attachments

Results for 2 years of back testing.

Total Net profit : (63,870.00)
Profit Factor: 0.60

Total Number of Trades: 2084
Percent Profitable: 42.08%


Ave. Trade Net Profit: (30.65)
Ratio of Ave. winning/ Avg losing: 0.82

No. of consecutive wins: 8
No. Consecutive losses: 16

Return on Account: (99.94%)

Max. Trade Draw down: (837.50)


As you can see, it is not worthwhile strategy, unless you come up with some kind of filters to weed out the bad trades.

Good luck
 
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